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Effective Measure of Endogeneity for the Autoregressive Conditional Duration point Processes via Mapping to the Self-Excited Hawkes Process

Effective Measure of Endogeneity for the Autoregressive Conditional Duration point Processes via Mapping to the Self-Excited Hawkes Process

AuthorD. Sornette, V. Filimonov and S. Wheatley
JournalCommunications in Nonlinear Science and Numerical Simulation
Date1 jan. 2015
CatégorieAcademic Publications
Volumevol. 22 (1-3), pp 23–37

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